Multifractal-State-Augmented Machine Learning for One-Trading-Day-Ahead USD/KRW Absolute-Return Forecasting
Daily exchange-rate returns show weak average persistence, yet their multiscale organization may inform future movement magnitude. This study evaluates whether time-varying multifractal states improve one-trading-day-ahead forecasts of USD/KRW absolute returns. The raw dataset contains 6520 Federal Reserve H.10 observa...